标题： 多变量扩散的闭式似然展开 显示英文标题

标题： Closed-form likelihood expansions for multivariate diffusions

摘要： 本文提供了多元扩散在离散时间间隔采样的对数似然函数的封闭形式展开。 通过利用扩散模型的特殊结构，显式计算展开系数。 文中包含了金融统计学中有兴趣的例子以及蒙特卡罗证据，并且讨论了展开与真实似然函数的收敛性。 显示英文摘要

摘要： This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.